SPYX vs. EFAX
Compare and contrast key facts about SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX).
SPYX and EFAX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPYX is a passively managed fund by State Street that tracks the performance of the S&P 500 Fossil Fuel Free Index. It was launched on Nov 30, 2015. EFAX is a passively managed fund by State Street that tracks the performance of the MSCI EAFE ex Fossil Fuels Index. It was launched on Oct 24, 2016. Both SPYX and EFAX are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPYX or EFAX.
Key characteristics
| SPYX | EFAX | |
|---|---|---|
| YTD Return | 27.29% | 6.23% |
| 1Y Return | 37.95% | 17.31% |
| 3Y Return (Ann) | 9.75% | 0.90% |
| 5Y Return (Ann) | 15.75% | 5.59% |
| Sharpe Ratio | 3.04 | 1.34 |
| Sortino Ratio | 4.07 | 1.91 |
| Omega Ratio | 1.57 | 1.23 |
| Calmar Ratio | 4.48 | 1.30 |
| Martin Ratio | 20.19 | 7.01 |
| Ulcer Index | 1.87% | 2.50% |
| Daily Std Dev | 12.43% | 13.11% |
| Max Drawdown | -32.84% | -32.53% |
| Current Drawdown | -0.28% | -7.78% |
Correlation
The correlation between SPYX and EFAX is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
SPYX vs. EFAX - Performance Comparison
In the year-to-date period, SPYX achieves a 27.29% return, which is significantly higher than EFAX's 6.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SPYX vs. EFAX - Expense Ratio Comparison
Both SPYX and EFAX have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
SPYX vs. EFAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
SPYX vs. EFAX - Dividend Comparison
SPYX's dividend yield for the trailing twelve months is around 1.01%, less than EFAX's 2.48% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPYX SPDR S&P 500 Fossil Fuel Reserves Free ETF | 1.01% | 1.21% | 1.41% | 1.04% | 1.33% | 1.56% | 1.92% | 1.68% | 1.91% | 0.49% |
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 2.48% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% | 0.00% |
Drawdowns
SPYX vs. EFAX - Drawdown Comparison
The maximum SPYX drawdown since its inception was -32.84%, roughly equal to the maximum EFAX drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for SPYX and EFAX. For additional features, visit the drawdowns tool.
Volatility
SPYX vs. EFAX - Volatility Comparison
SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) have volatilities of 4.03% and 4.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.